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Inference on Cointegration in Vector Autoregressive Models (summary section only)

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dc.contributor Svenska handelshögskolan, institutionen för finansiell ekonomi och ekonomisk statistik, statistik sv
dc.contributor Hanken School of Economics, Department of Finance and Statistics, Statistics en
dc.contributor.author Ahlgren, Niklas
dc.date.accessioned 2011-03-02T13:22:28Z
dc.date.available 2011-03-02T13:22:28Z
dc.date.issued 2002-12-13
dc.identifier.isbn 951-555-749-6
dc.identifier.uri http://hdl.handle.net/10227/84
dc.identifier.uri URN:ISBN:951-555-749-6
dc.description.abstract In the thesis we consider inference for cointegration in vector autoregressive (VAR) models. The thesis consists of an introduction and four papers. The first paper proposes a new test for cointegration in VAR models that is directly based on the eigenvalues of the least squares (LS) estimate of the autoregressive matrix. In the second paper we compare a small sample correction for the likelihood ratio (LR) test of cointegrating rank and the bootstrap. The simulation experiments show that the bootstrap works very well in practice and dominates the correction factor. The tests are applied to international stock prices data, and the .nite sample performance of the tests are investigated by simulating the data. The third paper studies the demand for money in Sweden 1970—2000 using the I(2) model. In the fourth paper we re-examine the evidence of cointegration between international stock prices. The paper shows that some of the previous empirical results can be explained by the small-sample bias and size distortion of Johansen’s LR tests for cointegration. In all papers we work with two data sets. The first data set is a Swedish money demand data set with observations on the money stock, the consumer price index, gross domestic product (GDP), the short-term interest rate and the long-term interest rate. The data are quarterly and the sample period is 1970(1)—2000(1). The second data set consists of month-end stock market index observations for Finland, France, Germany, Sweden, the United Kingdom and the United States from 1980(1) to 1997(2). Both data sets are typical of the sample sizes encountered in economic data, and the applications illustrate the usefulness of the models and tests discussed in the thesis. fi
dc.format.extent 1837 bytes
dc.format.extent 278640 bytes
dc.format.mimetype application/pdf
dc.format.mimetype text/plain
dc.language.iso en
dc.publisher Svenska handelshögskolan sv
dc.publisher Hanken School of Economics en
dc.relation.ispartofseries Economics and Society
dc.relation.ispartofseries 110
dc.rights Publikationen är skyddad av upphovsrätten. Den får läsas och skrivas ut för personligt bruk. Användning i kommersiellt syfte är förbjuden. sv
dc.rights This publication is copyrighted. You may download, display and print it for Your own personal use. Commercial use is prohibited. en
dc.rights Julkaisu on tekijänoikeussäännösten alainen. Teosta voi lukea ja tulostaa henkilökohtaista käyttöä varten. Käyttö kaupallisiin tarkoituksiin on kielletty. fi
dc.subject cointegration fi
dc.subject rank determination fi
dc.subject small sample properties fi
dc.subject vector autoregressive models fi
dc.subject.other Statistics fi
dc.title Inference on Cointegration in Vector Autoregressive Models (summary section only) fi
dc.type.ontasot Doctoral thesis en
dc.type.ontasot Väitöskirja fi
dc.type.ontasot Doktorsavhandling sv
dc.type.dcmitype Text
dc.date.accepted 2002-12-20

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